Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0158
Annualized Std Dev 0.2584
Annualized Sharpe (Rf=0%) 0.0613

Row

Daily Return Statistics

Close
Observations 4274.0000
NAs 1.0000
Minimum -0.1966
Quartile 1 -0.0052
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0066
Maximum 0.2076
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0163
Skewness -0.5124
Kurtosis 28.4502

Downside Risk

Close
Semi Deviation 0.0120
Gain Deviation 0.0121
Loss Deviation 0.0146
Downside Deviation (MAR=210%) 0.0162
Downside Deviation (Rf=0%) 0.0120
Downside Deviation (0%) 0.0120
Maximum Drawdown 0.7673
Historical VaR (95%) -0.0207
Historical ES (95%) -0.0402
Modified VaR (95%) -0.0195
Modified ES (95%) -0.0195
From Trough To Depth Length To Trough Recovery
2007-12-11 2009-03-09 NA -0.7673 3342 312 NA
2004-04-08 2004-06-22 2005-03-04 -0.1920 228 51 177
2007-05-22 2007-08-16 2007-12-04 -0.1902 137 61 76
2005-09-08 2005-10-20 2006-08-29 -0.1400 246 31 215
2005-03-10 2005-03-28 2005-06-02 -0.0754 59 12 47

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA 0 0 1.8 1.3 2.2 2.5 1.1 1.1 -0.3 0.9 11
2005 1 0.8 1 0.6 0.8 1.6 -0.4 1.9 0.5 -1.6 0.9 0.2 7.7
2006 0.3 0.1 0.5 -0.4 1.3 0.2 1 0.2 -0.5 0.5 0.2 0.2 3.7
2007 1.2 0.2 -0.1 0.8 -0.7 -0.2 1.8 1.7 1.4 -1.3 2.3 -0.7 6.4
2008 2.8 -2.7 2.8 2.2 0.9 0.9 -1.6 -0.4 2.4 3.9 -7.1 1.5 5.2
2009 -2.8 -0.3 3.5 2.1 3 0.9 0.8 -2.3 -1.8 -0.9 2.6 0.1 4.7
2010 0.8 2.2 0.9 -0.3 -0.2 1 0.6 3 0.8 0.2 1.1 1.3 11.9
2011 2 -0.8 1.2 0.3 -1.6 1.3 0.4 0.8 -0.8 -2.8 1.3 0 1.3
2012 1.4 1.7 1.9 1 -1.8 3.5 0.2 0.9 1.2 2.9 0.6 3.1 17.8
2013 -0.2 0.3 -0.5 -0.4 -2.7 0.9 0 0.7 0.6 0.3 0 1.7 0.7
2014 0 1 1 0.6 0.5 1.2 -0.4 0.2 1.9 0.7 -1.6 -0.7 4.6
2015 -1 0 0.7 0 0.3 1 0.5 -2.2 -0.6 1.5 0.8 0.9 1.8
2016 2.5 0.8 0.6 0.2 0.3 1.4 -0.9 -0.7 0.8 -1 0.4 -0.1 4.3
2017 -0.3 1 0.4 -0.2 0.6 0.7 0.3 0 0.3 -0.8 0.7 2.4 5.2
2018 -0.4 -1.1 0.7 0 0.2 1 0.3 0.1 2.1 0.3 0.6 0.6 4.4
2019 0.9 0.7 0.3 0.2 -1.2 -0.1 -0.2 0.6 -1.4 0.9 0.8 1.1 2.6
2020 -0.6 -4.8 -11.1 -3.6 2.8 2.3 -0.2 -0.3 0.9 0.8 -1.2 0.2 -14.6
2021 0 3.5 0.4 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-03-26  20.0 SPY    111. 3.00e-4 -3.00e-4  -0.034    0.0129    0.274  -0.011    -0.120 <NA>     NA    NA       NA
2 2004-03-29  20.0 SPY    113. 1.41e-2  2.68e-2  -0.0211   0.0263    0.298   0.0132   -0.113 <NA>     NA    NA       NA
3 2004-03-30  20   SPY    113. 3.40e-3  3.21e-2  -0.0275   0.0163    0.333  -0.0132   -0.128 <NA>     NA    NA       NA
4 2004-03-31  20.0 SPY    113. 1.20e-3  3.24e-2  -0.0206   0.0173    0.314  -0.0245   -0.120 <NA>     NA    NA       NA
5 2004-04-01  20.0 SPY    114. 6.00e-3  2.50e-2  -0.0165   0.0225    0.291  -0.0383   -0.132 <NA>     NA    NA       NA
6 2004-04-02  20.0 SPY    115. 7.60e-3  3.25e-2  -0.0116   0.0307    0.307  -0.0035   -0.121 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart